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ArticleRobust methods for detecting multiple level breaks in autocorrelated time series

David I. Harvey2010

Article2010

Robust methods for detecting multiple level breaks in autocorrelated time series

David I. Harvey · Stephen J. Leybourne · Robert Taylor

36 citations·0/0 files stored·Journal of Econometrics

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Monetary Policy and Economic Impact Advanced Statistical Methods and Models Time Series Analysis and Forecasting

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References

1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis 1993Tests for Parameter Instability and Structural Change With Unknown Change Point 2005Dealing with Structural Breaks 1994Evidence on Structural Instability in Macroeconomic Time Series Relations 1999A Comparison of Linear and Nonlinear Univariate Models for Forecasting Macroeconomic Time Series 1986Unit roots, structural breaks and trends 1992Testing for a Unit Root in a Time Series With a Changing Mean: Corrections and Extensions 1999Cointegration, causality, and forecasting : a festschrift in honour of Clive W.J. Granger

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2015Stochastic convergence in per capita CO 2 emissions. An approach from nonlinear stationarity analysis 2013Unit Roots, Level Shifts, and Trend Breaks in Per Capita Output: A Robust Evaluation 2011Unit Roots, Level Shifts and Trend Breaks in Per Capita Output: A Robust Evaluation 2011TESTING FOR A SHIFT IN TREND AT AN UNKNOWN DATE: A FIXED-BANALYSIS OF HETEROSKEDASTICITY AUTOCORRELATION ROBUST OLS-BASED TESTS 2009A Sequential Procedure to Determine the Number of Breaks in Trend with an Integrated or Stationary Noise Component

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2011Unit root testing under a local break in trendarticle · 11 shared references 2009TESTING FOR A UNIT ROOT IN THE PRESENCE OF A POSSIBLE BREAK IN TRENDarticle · 10 shared references 2013Unit Roots, Level Shifts, and Trend Breaks in Per Capita Output: A Robust Evaluationarticle · 9 shared references 2013Testing for unit roots in the possible presence of multiple trend breaks using minimum Dickey–Fuller statisticsarticle · 8 shared references 2011Unit Roots, Level Shifts and Trend Breaks in Per Capita Output: A Robust Evaluationpreprint · 8 shared references 2009SIMPLE, ROBUST, AND POWERFUL TESTS OF THE BREAKING TREND HYPOTHESISarticle · 7 shared references

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Year2010

Typearticle

Published2010-03-09

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations36

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.1016/j.jeconom.2010.02.003

openalex_workW2006923385

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2013Break Date Estimation for Models with Deterministic Structural Change